Connect the dots is a metaphor often used to illustrate an ability to associate one idea with another, to reveal something previously hidden or unknown, to find the "big picture".
 
This metaphor relates well to therapy, which can be an exercise in understanding how all the elements of our lives fit together to make us who we are today. As we better understand ourselves, we can address unresolved issues and make changes in our lives to become happier, have better relationships, and be more successful.